If with "zh" you mean a sound like the "s" in "vision" or "measure" -- since Greek doesn't have any "sh" or "zh" sounds, the "s" and "z" sounds sometimes move a little bit into that territory.
So a Greek "s" may sound a little like a "sh" to us, and a Greek "z" a little like a "zh". The range of acceptable pronunciations is simply a bit wider for them than for us, since they don't have to keep their "s"s and their "sh"s separate.
But you don't have to move back in the mouth; I think a "typical" English "s" or "z" is just fine for Greek as well.
What you probably shouldn't do is use a full-blown English "sh" or "zh"; it probably can't be confused with any other sound but I think it will sound unusual to a Greek, since while the range of acceptable pronunciations is wider, I don't think it stretches all the way to a typical English "sh, zh".